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This study provides evidence of the significant impacts of unemployment indicators, including the projected … unemployment rate and actual unemployment gap, on the cross-sectional stock returns in the Australian market. Utilising the … extensive dataset of all listed stocks and unemployment data from 1992 to 2020, we construct an unemployment beta to measure the …
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This paper provides evidence to the importance of revisions in expected unemployment rate in the cross …-sectional pricing of individual stocks. We introduce a measure of unemployment beta which quantifies monthly-varying stock sensitivity … to the innovations in forecasted unemployment rate. Stocks in the lowest unemployment beta decile generate 7% more …
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